1. 在STATA 12中构建DCC-MGARCH模型的第一步是确保已经安装了相应的STATA程序包，可以通过net install命令来安装。2. 启动STATA后，应先加载所需的MGARCH工具包，使用命令`use mgarch`。3. 在选择模型类型时，应指定为DCC模型。在命令窗口输入`garch model`，然后选择`dcc`选项。4. 设定好模型参数...
7️⃣ 构建均值方程:使用“reg”命令来构建均值方程。 8️⃣ 检验ARCH效应:使用“archlm”命令来检验是否存在ARCH效应。 9️⃣ 建立DCC模型:使用“mgarch dcc (x1 x2 = L.x1 L.x2),arch(1) garch(1) nolog”命令来建立DCC模型。这里,“x1”和“x2”是你的变量名,L.x1和L.x2表示滞后一期...
网站:https://gitee.com/arlionn/data/blob/master/data01/MGARCH_Lianxh.dta sysdir 可以查询你的各种文件夹路径,然后你按照路径找到plus那个文件夹把连老师的命令文件放进去就行了,如果你已经安装好了连老师的文件,sysdir这一步就可以省略了 mgarch dcc (A B),arch(1) garch(1) mgarch ccc (A B),arch...
also new to Stata 12. Conditional correlation models use nonlinear combinations of univariate GARCH models to represent the conditional covariances.mgarchprovides estimators for three popular conditional correlation models—CCC, DCC, VCC—also known as constant, dynamic, and varying conditional correlation....
.mgarch vcc (toyota = , arch(1)) (honda = , arch(1 5) garch(1) het(L.nissan))(Output omitted) Iteration 0: Log likelihood = 11258.814 Iteration 1: Log likelihood = 11258.814 Varying conditional correlation MGARCH model Sample: 2 thru 2015 Number of obs = 2,014 Distribution: Gaussian...
mgarch dcc( rcny rmyr ridr rphp rthb =L(1)rcny L(1)rmyr L(1)ridr L(1)rphp L(1)rthb ),arch(1) garch(1) nolog outreg2 using Myfile,excel replace tstat bdec(6) tdec(4) predict a*,correlation keep date a_rmyr_rcny a_ridr_rcny a_rphp_rcny a_rthb_rcny ...
所以，多维GARCH模型为分析金融市场的相互影响提供了有力的工具。
ARMA-GARCH 引入解释变量的自回归条件异方差模型 非正态扰动项 条件方差预测 多维GARCH模型(MGARCH) 对角半向量化GARCH模型(DVECH) 常条件相关模型(CCC) 动态条件相关模型(DCC) 可变条件相关模型(VCC)📖单位根检验: Dickey-Fuller单位根检验(DF检验)
mgarch dcc postestimationPostestimation tools formgarch dcc mgarch dvechDiagonal vech multivariate GARCH models mgarch dvech postestimationPostestimation tools formgarch dvech mgarch vccVarying conditional correlation multivariate GARCH models mgarch vcc postestimationPostestimation tools formgarch vcc ...
序号 Stata程序下载量前500排序(从高到低) 1 OUTREG2: Stata module to arrange regression outputs into an illustrative table 2 PSMATCH2: Stata module to perform full Mahalanobis and propensity score matching, common support graphing, and covariate imbalance testing ...